Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189108 
Year of Publication: 
1990
Series/Report no.: 
Queen's Economics Department Working Paper No. 783
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
We propose a specification test of a parametrically specified nonlinear model against a weakly specified alternative. We generalize a similar test procedure proposed by Delgado and Stengos (1990) to test the specification of a linear model. We estimate the alternative model by using K nonparametric nearest neighbors (K-NN) in the context of an artificial regression. We derive the asymptotic distribution of the test statistic under the null hypothesis and under a series of local alternatives. Monte Carlo simulations suggest that the test has good power and size characteristics.
Document Type: 
Working Paper

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